Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0240
Annualized Std Dev 0.2300
Annualized Sharpe (Rf=0%) -0.1043

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.2094
Quartile 1 -0.0056
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0063
Maximum 0.1189
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0145
Skewness -0.8732
Kurtosis 18.3903

Downside Risk

Close
Semi Deviation 0.0108
Gain Deviation 0.0101
Loss Deviation 0.0124
Downside Deviation (MAR=210%) 0.0153
Downside Deviation (Rf=0%) 0.0108
Downside Deviation (0%) 0.0108
Maximum Drawdown 0.8335
Historical VaR (95%) -0.0220
Historical ES (95%) -0.0357
Modified VaR (95%) -0.0218
Modified ES (95%) -0.0404
From Trough To Depth Length To Trough Recovery
1999-07-07 2009-03-09 NA -0.8335 5463 2433 NA
1999-05-14 1999-05-27 1999-06-30 -0.0591 33 10 23
1999-01-12 1999-03-04 1999-04-22 -0.0526 70 36 34
1999-04-26 1999-04-26 1999-04-27 -0.0142 2 1 1
1999-04-28 1999-05-06 1999-05-10 -0.0094 9 7 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 1 0.5 -0.5 0 0 0.5 0.5 -0.5 -1 0.5 2.3 3.3
2000 0.6 -2.9 2.3 1.1 4.4 -1 1 1 0 -0.5 0 1 7
2001 -0.1 -2.4 0.2 1 0 -0.4 1.1 0.5 -1.3 -0.6 0.6 -1.1 -2.5
2002 -0.2 0.5 0.1 0.7 0.5 -3 -3.4 -1 3.3 2.7 0 -0.3 -0.4
2003 1.5 -0.3 0.7 -0.8 1.4 -0.1 -0.2 0.7 1.8 1.8 1.4 0.7 8.9
2004 0.6 0.8 1 0.1 0.3 -1.5 0.6 0.8 1.3 0.2 0.7 -0.8 4.1
2005 0.8 0.2 -0.1 0.6 0.3 0.1 0.2 -0.3 -0.3 -0.2 0.8 0.6 2.7
2006 0 -1.3 -0.5 0.1 0.4 0 -0.1 0.5 0.4 -0.4 -0.4 0.6 -0.6
2007 0.6 0 -0.4 0.1 0 0.2 -0.9 1.1 0.5 -1.3 0.4 0.6 0.9
2008 1.6 -2.3 2.8 0.3 0.9 -0.2 -0.3 -0.2 2 1.6 -8.3 4.8 2.1
2009 -2.8 -3.3 1 0 1.7 1.7 0.3 -1.6 -1.2 -1.9 1.9 -0.9 -5.1
2010 2.4 -0.4 0.8 0 1.4 -1.3 0.7 2 0.5 -0.4 1.7 0.2 7.8
2011 1.2 -1.3 0.6 0 -1.5 1 0 -0.9 -3.1 -3.3 0.5 0 -6.8
2012 0.9 0.4 0.6 0.6 -2.7 1.6 -0.9 0.4 0.2 2.4 -1.3 1.9 4.1
2013 0.8 0.2 -0.2 -1.5 -1.1 0.4 0.9 -0.6 1.7 -0.1 -0.2 0.7 0.9
2014 -0.4 0.2 0.9 0.3 -0.2 1 -1 -0.3 -1.2 1.6 -1.5 -0.5 -1.2
2015 -0.9 -0.2 -0.7 0.9 -0.2 0.3 0.2 -2.6 -1.2 0 0.8 0 -3.5
2016 0 2.8 0 -0.4 0.6 0.2 -0.8 0 1.4 -1 -1 -0.4 1.4
2017 0.2 1.7 -0.5 0.4 1.1 0.5 0.7 1.4 0.5 0.5 0 0 6.5
2018 0 -1.9 0.7 -0.5 1.4 0.6 0 -0.4 0.3 3.1 0.8 0.2 4.3
2019 0 0.2 1.3 -0.6 -2.1 0.3 -1.4 -0.3 -0.6 1.1 -0.2 0.6 -1.9
2020 -1.3 -2.3 -7.6 -3.9 0.4 0.5 0.2 0.6 0.3 -1.4 1.7 0.1 -12.3
2021 2.9 2 0.5 NA NA NA NA NA NA NA NA NA 5.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  12.9 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  12.9 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  13   SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  13   SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  13.1 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  13.1 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart